The asymmetric statistics of order books: The role of discreteness and non-uniform limit order deposition Export

@article{citeulike:5094182, abstract = {We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the. An analysis of data from the NYSE order book point out that traders' strategies contribute to this asymmetry. We also investigate this phenomenon in the framework of a microscopic model and, by introducing a non-uniform deposition mechanism for limit orders, we are able to quantitatively reproduce the asymmetry found in the experimental data. Monte Carlo simulations of our model also show a realistic dynamics with a sort of intermittent behavior characterized by long periods in which the order book is compact and liquid interrupted by volatile and sparse configurations.}, archivePrefix = {arXiv}, author = {Zaccaria, A. and Cristelli, M. and Alfi, V. and Ciulla, F. and Pietronero, L.}, citeulike-article-id = {5094182}, citeulike-linkout-0 = {http://arxiv.org/abs/0906.1387}, citeulike-linkout-1 = {http://arxiv.org/pdf/0906.1387}, day = {7}, eprint = {0906.1387}, keywords = {and, asymmetric, books, deposition, discreteness, limit, non-uniform, of, order, role, statistics, the}, month = {Jun}, posted-at = {2009-07-08 21:41:35}, priority = {2}, title = {The asymmetric statistics of order books: The role of discreteness and non-uniform limit order deposition}, url = {http://arxiv.org/abs/0906.1387}, year = {2009} }

TY - JOUR ID - citeulike:5094182 L3 - citeulike-article-id:5094182 N2 - We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the. An analysis of data from the NYSE order book point out that traders' strategies contribute to this asymmetry. We also investigate this phenomenon in the framework of a microscopic model and, by introducing a non-uniform deposition mechanism for limit orders, we are able to quantitatively reproduce the asymmetry found in the experimental data. Monte Carlo simulations of our model also show a realistic dynamics with a sort of intermittent behavior characterized by long periods in which the order book is compact and liquid interrupted by volatile and sparse configurations. TI - The asymmetric statistics of order books: The role of discreteness and non-uniform limit order deposition KW - and KW - asymmetric KW - books KW - deposition KW - discreteness KW - limit KW - non-uniform KW - of KW - order KW - role KW - statistics KW - the AU - Zaccaria, A AU - Cristelli, M AU - Alfi, V AU - Ciulla, F AU - Pietronero, L PY - 2009/Jun/07/ UR - http://arxiv.org/abs/0906.1387 ER -